Investing Research Articles

How does the U.S. stock market typically react to U.S. debt ceiling discussions/actions? To investigate, we look at cumulative S&P 500 Index returns around actions to change the debt ceiling. Using daily S&P 500 Index returns and debt ceiling action dates during mid-June 1940 through May 2023 (90 quantitative actions), we find that:

Below is a weekly summary of our research findings for 5/22/23 through 5/26/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

For the last half-century, financial researchers have fallen short of scientific rigor, focusing on associations not supported by theory and not amenable to falsification. Is there is hope for finance to become a scientific field? In his April 2023 paper entitled “The Hierarchy of Empirical Evidence in Finance”, Marcos Lopez de Prado proposes a hierarchy… Keep Reading

Simple moving averages (SMA) are perhaps the most widely used and simplest market regime indicators. For example, many investors estimate that a stock index, exchange-traded fund (ETF) or individual stock priced above (below) its 200-day SMA is in a good (bad) regime. Do SMA signals/signal combinations usefully and consistently distinguish good and bad regimes across… Keep Reading

Are there clearly skilled and unskilled stock-picking influencers on social media platforms such as StockTwits? If so, do investor reactions to such influencers drive out the unskilled ones? In their March 2023 paper entitled “Finfluencers”, Ali Kakhbod, Seyed Kazempour. Dmitry Livdan and Norman Schuerhoff examine skillfulness, influence and survival of StockTwits tweeters who have followers…. Keep Reading

Below is a weekly summary of our research findings for 5/15/23 through 5/19/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

What kind of return patterns are typical of beginnings and ends of equity bull and bear markets? In his April 2023 paper entitled “Investor Overreaction: Evidence From Bull and Bear Markets”, Valeriy Zakamulin examines return patterns of U.S. stock market bull and bear states as a way to decide when investors tend to overreact. He… Keep Reading

Is equal weighting of portfolio assets easy or hard to beat within or across asset classes? In their April 2023 paper entitled “Is Naïve Asset Allocation Always Preferable?”, Thomas Conlon, John Cotter, Iason Kynigakis and Enrique Salvador employ simulations to pit equal portfolio weighting against 19 other weighting strategies (fixed strategic weights, nine variations of… Keep Reading

Below is a weekly summary of our research findings for 5/8/23 through 5/12/23. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

A subscriber requested review of a strategy that seeks to exploit “Sell in May” by switching between risk-on assets during November-April and risk-off assets during May-October, with assets specified as follows: Risk-on – SPDR S&P 500 (SPY), iShares Russell 2000 Index (IWM) and Invesco DWA Technical Leaders (PDP). Risk-off – iShares Barclays 20+ Year Treas Bond… Keep Reading